Thursday, June 20, 2019

Panel Data Regression

Panel Data Regression Models: 
- Individual Fixed effect 
- Time Fixed Effect 
- Random Effect 
: Hausman test: to check whether to use Fixed, time or random effect fixed model : -:R-code 
 

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R3 chase - Pursuit

BCR Approach for Regulatory Reporting (PD in Low-Default Portfolios)

Attached : Excel workbook with full BCR implementation (macro-driven, quarterly defaults, confidence intervals, and model diagnostics) https...